JUNE 30, 1999
[LOGO]
BT Mutual Funds
Advisor
EAFE Equity Index Fund
Semi-Annual Report
Trust: BT Advisor Funds
Investment Advisor: Bankers Trust Company
<PAGE>
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EAFE Equity Index Fund
Table of Contents
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Letter to Shareholders ................................................. 3
EAFE Equity Index Fund
Statement of Assets and Liabilities ................................. 6
Statement of Operations ............................................. 6
Statements of Changes in Net Assets ................................. 7
Financial Highlights ................................................ 8
Notes to Financial Statements ....................................... 10
EAFE Equity Index Portfolio
Statement of Net Assets ............................................. 12
Statement of Operations ............................................. 19
Statements of Changes in Net Assets ................................. 20
Financial Highlights ................................................ 20
Notes to Financial Statements ....................................... 21
----------------
The Fund is not insured by the FDIC and is not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
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2
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EAFE Equity Index Fund
Letter to Shareholders
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We are pleased to present you with this semi-annual report for the EAFE(R)(1)
Equity Index Fund (the "Fund"), providing a detailed review of the market, the
Portfolio, and our outlook. Included are a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.(2)
MARKET ACTIVITY
Overall, 15 of the 20 EAFE markets posted gains for the semi-annual period ended
June 30, 1999, and nine had double-digit returns. Equities accounted for most of
the advance of the MSCI EAFE Index(3), gaining in each month of the period
except May; currencies lost ground throughout.
The major story of the first half of 1999 was the rather significant market
rotations in the EAFE markets, as European markets pulled back, and Asian and
Pacific Rim markets recovered strongly. The two biggest influences on EAFE Index
performance were the stunning reversal of the Japanese equity market and the
introduction of the Euro.
Europe
Regionally, Europe declined 3.2% in U.S. dollar terms during the semi-annual
period. The previously outperforming European markets were hurt by a strong U.S.
dollar, slowing domestic growth rates, and increased competition resulting from
the January 1, 1999 introduction of the common Euro currency.
o Great expectations for the much-anticipated introduction of the Euro in
January had fueled a strong European market in 1998 and into January 1999,
only to disappoint later. Strategists expected impressive capital flows
into Europe as the unified market promoted a more stable economic
environment and greater transparency in financial reporting. However, the
Euro's value versus the U.S. dollar declined by about 13% since its
inception, dampening European equity returns in U.S. dollar terms.
o On the other hand, European markets responded to several positive factors
as well.
-- Merger activity rose as companies sought economies of scale in an
enlarged "domestic" market. -- For example, in January, Zeneca PLC
(UK) agreed to buy Astra (Sweden), and Ford Motor bid to buy Volvo's
car unit. France's Societe Generale bought competitor Paribas in
February, and other bank stocks rose as investors felt there would be
more mergers in the fragmented European banking sector. Takeover
activity remained strong in April, as Deutsche Telekom and Telecom
Italia announced a merger in an attempt to fend off Olivetti's bid for
the Italian phone company. By the end of the semi-annual period,
Olivetti had won the battle for Telecom Italia in the largest
leveraged buyout in European history, buoying somewhat the European
markets overall. Also in June, Repsol, the Spanish energy firm,
received shareholder approval for its bid to buy YPF, the Argentinian
oil company.
-- Many European companies continued to announce better than expected
earnings. -- For instance, Finland was a top performing market during
the first quarter of 1999, rising on better than expected earnings
from Nokia, the global telecommunications company whose shares account
for more than 50% of the Finnish market. Austria was the top
performing market in February, rising on better than expected earnings
from Bank Austria, the country's largest bank.
Ten Largest Stock Holdings
- ---------------------------------------------------------
Nippon Telegraph & Telephone Corp. Novartis
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Royal Dutch Petroleum Co. British Telecom PLC
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Toyota Motor Corp. Glaxo Wellcome PLC
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Nokia AB-A Shares Deutsche Telekom
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British Petroleum Co. DaimlerChrysler AG
- ---------------------------------------------------------
-- European governments continued to cut interest rates. -- Norway, the
United Kingdom, Switzerland, and the European Central Bank each cut
rates, prompting several equity markets to rally in response.
-- Political and economic events prompted strong reaction. -- In March
1999, German Finance Minister LaFontaine resigned amid disagreements
over policy matters. European equity markets rallied on the news, as
investors felt that the new Minister, Eichel, would be more
pro-business. In June 1999, European markets rallied in response to
lower than expected U.S. inflation figures and the perception that the
Federal Reserve Board would not necessarily be inclined to raise U.S.
interest rates further.
Pacific Basin
The Pacific Basin rose 21% in U.S. dollar terms during the semi-annual period.
The previously struggling Asian and Pacific Rim markets rallied back from 1998's
global economic woes primarily due to falling domestic interest rates, stable
currencies, strong domestic consumption, and improving exports.
o Japan had a particularly strong showing in the last month of its fiscal
year, March 1999, with its equity market rising based largely on strong
foreign buying. -- Foreigners bought 1.7 trillion yen in March, the largest
monthly amount on record. The bullishness arose after several companies
announced restructuring plans, with the goal of increasing profitability.
Some of the companies included Sony, Oji Paper, and Japan Airlines. By May,
the Japanese market reversed some of its earlier gains, as foreign demand
for stock turned negative after four consecutive months of aggressive
buying by foreign hedge funds, asset allocators and active managers. In
June, Japan's equity market rallied back, spurred on by signs of economic
recovery and continued foreign buying of Japanese shares. At June 30, 1999,
Japan's EAFE market weight was 24%, the highest level in recent years.
o Hong Kong's equity market rose, as investors became more optimistic about
corporate earnings. -- In addition, the Hong Kong government announced in
March that it would be selling its $23 billion stock portfolio over the
next three years. In April, Hong Kong was the best performing EAFE market,
as foreigners increased their equity allocation to the market when the Hong
Kong central bank cut its interest rates by 0.25% to 8.5% and the property
market strengthened.
3
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EAFE Equity Index Fund
Letter to Shareholders
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Diversification of Portfolio Investments
By Country as of June 30, 1999
(percentages are based on net assets)
In the printed version of the document, a pie chart appears which depicts
the following plot points:
Japan 24%
United Kingdom 21%
Germany 10%
France 9%
Switzerland 7%
Netherlands 6%
Italy 4%
Australia 3%
Spain 3%
Sweden 3%
Hong Kong 3%
Finland 2%
Belgium 2%
Other 3%(1)
- --------------
(1) Consists of countries less than 2%.
o Encouraged by investor confidence of economic recovery in the region, other
Asian equity markets also performed well for the semi-annual period. --
Singapore, Australia, and New Zealand were among the stronger performing
markets in the region.
MANAGER OUTLOOK
A fundamental reassessment of the global economic outlook was the big story
for the financial markets during the first half of 1999. The nightmare scenarios
of Armageddon, deflation and financial meltdown that prevailed late last year
were replaced by signs of improving growth, particularly in Asia. These emerging
market economies saw their currencies as well as their fixed income and equity
markets bounce back sharply. Nascent signs of a recovery in the long-suffering
Japanese economy were key to this recovery. In Europe, signs of vitality were a
little harder to come by, but things do seem to be pointing up as we look ahead,
giving some support to equities.
Provided the monetary tightening in the U.S. remains fairly modest, it is
unlikely to cause serious repercussions in the rest of the world. In Europe, we
expect growth to improve gradually over the balance of the year, bringing to an
end the period of monetary easing. Given the slack in these economies, however,
there is no serious threat, we believe, of overheating or monetary tightening in
the foreseeable future. Equity markets in Europe should perform well against the
backdrop of improving growth and still-benign inflation. We remain somewhat
skeptical that a full-fledged recovery is underway in Japan, though the worst is
probably past.
Of course, as an index fund, designed to replicate as closely as possible,
before expenses, the broad diversification and total return of the MSCI EAFE
Index with net dividends, we neither evaluate short-term fluctuations in the
Fund's performance nor manage according to a given outlook for the equity
markets or the economies in general. Still, we will continue monitoring economic
conditions and how they affect the financial markets.
We appreciate your ongoing support of the EAFE Equity Index Fund and look
forward to serving your investment needs for many years ahead.
/s/ Peter Kuntz
---------------
Peter Kuntz
Portfolio Manager of the EAFE Equity Index Portfolio
July 22, 1999
<TABLE>
<CAPTION>
INVESTMENT REVIEW
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Cumulative Total Returns Average Annual Total Returns
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Past 6 Past 1 Past 3 Since Past 1 Past 3 Since
Periods ended June 30, 1999 Months year years inception year years inception
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<S> <C> <C> <C> <C> <C> <C> <C>
EAFE(R)(1) Equity Index Fund(4)
Institutional Class Shares
(inception 1/24/96) 4.14% 7.44% 29.24% 36.60% 7.44% 8.93% 9.52%
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MSCI EAFE Index(3) 3.97% 7.62% 28.83% 36.19% 7.62% 8.81% 9.46%
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Lipper International Equity Average(5) 7.38% 4.83% 32.15% 39.87% 4.83% 9.53% 10.11%
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</TABLE>
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(1) The EAFE Index is the exclusive property of Morgan Stanley. Morgan Stanley
Capital International is a service mark of Morgan Stanley and has been
licensed for use by Bankers Trust Company.
(2) Foreign investing involves special risks, including currency risk,
increased volatility of foreign securities, and differences in auditing and
other financial standards.
(3) The MSCI EAFE Index is an unmanaged capitalization-weighted index
containing approximately 1,100 equity securities of companies located
outside the United States. Investments cannot be made in an index.
(4) Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. The Fund is not insured
by the FDIC and is not a deposit, obligation of, or guaranteed by Bankers
Trust Company. The Fund is subject to investment risks, including possible
loss of principal amount invested.
(5) Lipper figures represent the average of the total returns, reported by all
of the mutual funds designated by Lipper Analytical Services, Inc. as
falling into the respective categories indicated. These figures do not
reflect sales charges.
4
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EAFE Equity Index Fund
Performance Comparison (unaudited)
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Comparison of Change in Value of a $10,000 Investment in the EAFE Equity
Index Fund and the MSCI EAFE Index since January 31, 1996.
Total Return
June 30, 1999
Six One Since
Months Year 1/24/96(1)
4.14%(3) 7.44%(2) 9.52%(2)
(1) The Fund's inception date.
(2) Annualized.
(3) Unaudited.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[Graphic Omitted]
In the printed version of the document, a line graph appears which depicts
the following plot points:
BT Advisor EAFE Equity Index Fund - $13,660
MSCI EAFE Index - $13,619
BT Advisor
EAFE Equity MSCI EAFE
Index Fund Index
Jan-96 10,000 10,000
Jun-96 10,404 10,409
Dec-96 10,553 10,561
Jun-97 11,805 11,745
Dec-97 10,949 10,920
Jun-98 12,715 12,659
Dec-98 13,117 13,100
Jun-99 13,660 13,619
Past performance is not indicative of future results. The MSCI EAFE Index
is unmanaged and investments may not be made in an index. The index return does
not reflect expenses, which have been deducted from the Fund's return. The Fund
is not insured by the FDIC and is not a deposit, obligation of or guaranteed by
Bankers Trust Company. The Fund is subject to investment risks, including
possible loss of principal amount invested. Performance figures assume the
reinvestment of dividends and capital gains distributions.
5
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EAFE Equity Index Fund
Statement of Assets and Liabilities June 30, 1999 (unaudited)
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<TABLE>
<S> <C>
Assets
Investment in EAFE Equity Index Portfolio, at Value .................... $62,211,454
Receivable for Shares of Beneficial Interest Subscribed ................ 8,789
Due from Bankers Trust ................................................. 17,815
Prepaid Expenses and Other ............................................. 19,664
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Total Assets .............................................................. 62,257,722
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Liabilities
Payable for Shares of Beneficial Interest Redeemed ..................... 2,407
Accrued Expenses and Other ............................................. 11,889
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Total Liabilities ......................................................... 14,296
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Net Assets ................................................................ $62,243,426
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Composition of Net Assets
Paid-in Capital ........................................................ $51,771,040
Undistributed Net Investment Income .................................... 491,297
Accumulated Net Realized Gain from Investment, Futures,
Foreign Currency and Forward Foreign Currency
Transactions ........................................................ 477,023
Net Unrealized Appreciation on Investment, Foreign
Currency and Forward Foreign Currency Contracts ..................... 9,504,066
-----------
Net Assets ................................................................ $62,243,426
===========
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) ............................. $ 12.07
===========
Shares Outstanding ($0.001 par value, unlimited number
of shares of beneficial interest authorized) ........................... 5,157,563
===========
</TABLE>
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Statement of Operations For the six months ended June 30, 1999 (unaudited)
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<TABLE>
<S> <C>
Investment Income
Income Allocated from EAFE Equity Index Portfolio, Net ................. $ 710,168
-----------
Expenses
Administration and Service Fees ........................................ 41,730
Professional Fees ...................................................... 6,618
Trustees Fees .......................................................... 2,127
Miscellaneous .......................................................... 13,922
-----------
Total Expenses ......................................................... 64,397
Less: Expenses Reimbursed and Fees Waived by Bankers Trust ............. (50,167)
-----------
Net Expenses ........................................................ 14,230
-----------
Net Investment Income ..................................................... 695,938
-----------
Realized and Unrealized Gain (Loss) on Investment, Futures,
Foreign Currencies and Forward Foreign Currency Contracts
Net Realized Gain (Loss) from:
Investment Transactions ............................................. (38,349)
Foreign Futures Transactions ........................................ 873,046
Foreign Currency Transactions ....................................... (175,225)
Forward Foreign Currency Transactions ............................... (224,305)
Net Change in Unrealized Appreciation/Depreciation
on Investment, Futures, Foreign Currencies, and
Forward Foreign Currency Contracts .................................. 1,193,250
-----------
Net Realized and Unrealized Gain on Investment, Futures,
Foreign Currencies and Forward Foreign Currency Contracts .............. 1,628,417
-----------
Net Increase in Assets from Operations .................................... $ 2,324,355
===========
</TABLE>
See Notes to Financial Statements.
6
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EAFE Equity Index Fund
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) Dec. 31, 1998
---------------- -------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ................................. $ 695,938 $ 604,084
Net Realized Gain from Investment, Futures, Foreign
Currencies and Forward Foreign Currency Transactions 435,167 39,644
Net Change in Unrealized Appreciation/Depreciation
on Investment, Futures, Foreign Currencies and
Forward Foreign Currency Contracts ................. 1,193,250 6,726,636
------------ ------------
Net Increase in Net Assets from Operations ............... 2,324,355 7,370,364
============ ============
Distributions to Shareholders
Net Investment Income
Institutional Class ................................ -- (604,084)
Advisor Class ...................................... -- --
Distributions in Excess of Net Investment Income
Institutional Class ................................ -- (287,215)
Advisor Class ...................................... -- --
Net Realized Gain from Investment Transactions
Institutional Class ................................ -- (39,644)
Advisor Class ...................................... -- --
Distributions in Excess of Net Realized Gains
Institutional Class ................................ -- (346,658)
Advisor Class ...................................... -- --
------------ ------------
Total Distributions ...................................... -- (1,277,601)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Net Increase Resulting from Institutional Class Shares 17,456,944 1,460,464
Net Resulting from Advisor Class Shares(2)............. -- (3,811,950)
------------ ------------
Net Increase (Decrease) from Capital Transactions
in Shares of Beneficial Interest ...................... 17,456,944 (2,351,486)
------------ ------------
Total Increase in Net Assets ............................. 19,781,299 3,741,277
Net Assets
Beginning of Period ...................................... 42,462,127 38,720,850
------------ ------------
End of Period ............................................ $ 62,243,426 $ 42,462,127
============ ============
</TABLE>
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(1) Unaudited.
(2) On July 10, 1998 shareholders of the Advisor Class exchanged their shares
into the Institutional Class and the Advisor Class ceased operations.
See Notes to Financial Statements.
7
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EAFE Equity Index Fund
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for the Institutional Class of EAFE Equity Index Fund.
<TABLE>
<CAPTION>
Institutional Class Shares
---------------------------------------------------------------
For the For the year For the period
six months ended December 31, Jan. 24, 1996(3)
ended ----------------------- to
June 30, 1999(4) 1998(2) 1997 Dec. 31, 1996
---------------- ------- ------ ----------------
<S> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period .......... $ 11.59 $ 9.98 $ 10.62 $ 10.00
------- ------- ------- -------
Income from Investment Operations
Net Investment Income ...................... 0.27 0.16 0.23 0.12
Net Realized and Unrealized Gain (Loss) from
Investment, Futures, Foreign Currencies and
Forward Foreign Currency Transactions ...... 0.21(4) 1.81 (0.02) 0.60
------- ------- ------- -------
Total from Investment Operations .............. 0.48(4) 1.97 0.21 0.72
------- ------- ------- -------
Distributions to Shareholders
Net Investment Income ...................... -- (0.16) (0.24) (0.08)
In Excess of Net Investment Income ......... -- (0.09) -- --
Net Realized Gain from Investment
Transactions ............................ -- (0.01) (0.61) (0.02)
In Excess of Net Realized Gains ............ -- (0.10) -- --
------- ------- ------- -------
Total Distributions ........................... -- (0.36) (0.85) (0.10)
------- ------- ------- -------
Net Asset Value, End of Period ................ $ 12.07 $ 11.59 $ 9.98 $ 10.62
======= ======= ======= =======
Total Investment Return ....................... 4.14% 19.81% 2.11% 7.22%
Supplemental Data and Ratios:
Net assets, end of period (000s omitted) ... $62,243 $42,462 $35,509 $39,667
Ratios to Average Net Assets:
Net Investment Income ................... 2.49%(4) 1.50% 1.70% 1.64%(4)
Expenses, Including Expenses of the EAFE
Equity Index Portfolio ................. 0.40%(4) 0.40% 0.40% 0.40%(4)
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust .... 0.24%(4) 0.43% 0.33% 0.48%(4)
</TABLE>
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(1) Commencement of operations.
(2) Annualized.
(3) Advisor Class shareholders were converted to Institutional Class on July
10, 1998.
(4) Unaudited.
See Notes to Financial Statements.
8
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EAFE Equity Index Fund
Notes to Financial Statements (unaudited)
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Note 1--Organization and Significant Accounting Policies
A. Organization
BT Advisor Funds (the "Trust") is registered under the Investment Company Act of
1940 (the "Act"), as amended, as an open-end management investment company. The
Trust was organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The EAFE Equity Index Fund (the "Fund") is one of
the funds offered to investors by the Trust.
The EAFE Equity Index Fund offered two classes of shares to investors:
Institutional Class and Advisor Class shares (the "Classes"). Both Classes of
shares had identical rights to earnings, assets and voting privileges, except
that each class had its own expenses and exclusive voting rights with respect to
matters affecting a single class. The Institutional and Advisor shares began
operations and offering shares of beneficial interest on January 24, 1996 and
June 21, 1996, respectively. Effective July 10, 1998 the Fund's Advisor Class
was closed and all Advisor Class shares were exchanged into the Fund's
Institutional Class based on a 1 to 1.0382 exchange ratio. As a result of the
exchange, 438,740 shares of the Institutional Class representing $5,133,257 in
net assets were issued at the net asset value of $11.70 per share.
The Fund invests substantially all of its assets in the EAFE Equity Index
Portfolio (the "Portfolio"). The Portfolio is an open-end management investment
company registered under the Act. The value of the Fund's investment in the
Portfolio reflects the Fund's proportionate interest in the net assets of the
Portfolio. At June 30, 1999, the Fund's proportionate interest in the
Portfolio's net assets was approximately 100%.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. Valuation
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from security transactions of the Portfolio are allocated pro rata
among the investors in the Portfolio at the time of such determination.
D. Organization Expenses
Costs incurred by the fund in connection with its organization and initial
registration are being amortized evenly over a five-year period.
E. Distributions
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income. Dividends and distributions payable to
shareholders are recorded by the Fund on the ex-dividend date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
are also made annually to the extent they are not offset by any capital loss
carryforwards.
F. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required. The Fund may periodically make reclassifications among certain of its
capital accounts as a result of the differences in the characterization and
allocation of certain income and capital gain distributions determined annually
in accordance with federal tax regulations, which may differ from generally
accepted accounting principles. The Fund has deferred a post October currency
loss of $16,745 and post a October capital loss of $502,454 to next year.
G. Other
The Trust accounts separately for the assets, liabilities and operations of the
Fund and its Classes. Expenses directly attributable to each Class are charged
to that Class, while expenses which are attributable to the Trust's Funds are
allocated among them. Investment transactions are accounted for on the trade
date basis. Realized gains and losses are determined on the identified cost
basis.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts in the financial statements. Actual
results could differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of .15%.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Institutional Class, to the extent necessary, to limit all
expenses to .05% of the average daily net assets of the Class, excluding
expenses of the Portfolio and .40% of the average daily net assets of the Class,
including expenses of the Portfolio; EAFE Equity Index Advisor Class of
9
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EAFE Equity Index Fund
Notes to Financial Statements
- --------------------------------------------------------------------------------
shares to .30% of the average daily net assets of the Class, excluding
expenses of the Portfolio, and .65% of the average daily net assets of the
Class, including expenses of the Portfolio.
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Fund.
The Institutional Class of shares impose a shareholder transaction fee of 0.25%
paid when investors buy, sell or exchange shares of the Fund. These transaction
fees are paid directly to the Fund and are deducted automatically from the
amount invested, exchanged or redeemed (with the exception of reinvested
dividends or capital gain distributions). Effective April 30, 1999, the
transaction fee for the Institutional Class shares was eliminated.
The Portfolio in which the Fund invests is a participant with other affiliated
entities in a revolving credit facility in the amount of $100,000,000, which
expires April 29, 2000. A commitment fee of .10% per annum on the average daily
amount of the available commitment is payable on a quarterly basis and
apportioned equally among all participants. Amounts borrowed under the credit
facility will bear interest at a rate per annum equal to the Federal Funds Rate
plus .50%. No amounts were drawn down or outstanding under the credit facility
as of and for the six months ended June 30, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
Note 3--Shares of Beneficial Interest
At June 30, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
Institutional Class Shares(1)
--------------------------------------------------------------
For the
Six Months Ended For the Year Ended
June 30, 1999(2) December 31, 1998
------------------------------ -----------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
Sold 1,598,133 $18,685,287 190,462 $ 2,131,517
Reinvested -- -- 109,811 1,258,105
Redeemed (103,604) (1,228,343) (632,885) (7,062,415)
Exchanged -- -- 438,740 5,133,257
------------ ----------- --------- -----------
Increase 1,494,529 $17,456,944 106,128 $ 1,460,464
============ =========== ========= ===========
Advisor Class Shares(1)
--------------------------------------------------------------
For the For the Period
Six Months Ended January 1, 1998 through
June 30, 1999(2) July 10, 1998
------------------------------ -----------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
Sold -- -- 211,779 $ 2,284,004
Reinvested -- -- -- --
Redeemed -- -- (89,978) (962,697)
Exchanged -- -- (455,480) (5,133,257)
------------ ----------- --------- -----------
Decrease -- -- (333,679) $(3,811,950)
============ =========== ========= ===========
- ----------
(1) On July 10, 1998 shareholders of the Advisor Class exchanged their shares
into the Institutional Class and the Advisor Class ceased operations.
(2) Unaudited.
Note 4--Risks of Investing in Foreign Securities
The Portfolio invests in foreign securities. Investing in foreign companies
and foreign governments involves special risks and considerations not typically
associated with investing in securities of U.S. companies and the U.S.
government. These risks include devaluation of currencies and future adverse
political and economic developments. Moreover, securities of many foreign
companies and foreign governments and their markets may be less liquid and their
prices more volatile than those of securities of comparable U.S. companies and
the U.S. government. This is particularly true with respect to emerging markets
in developing countries.
10
<PAGE>
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EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
COMMON STOCK - 91.6%
Australia - 2.7%
6,490 Amcor Ltd. ............................... $ 36,077
9,077 AMP Ltd.(1) .............................. 99,233
1,106 Australia Gas Light Company .............. 6,728
7,433 Boral Ltd. ............................... 12,595
1,941 Brambles Industries ...................... 51,135
15,124 Broken Hill Proprietary Co. Ltd. ......... 75,191
9,934 Coca-Cola Amatil Ltd. .................... 40,038
10,045 Coles Myer Ltd. .......................... 58,445
9,491 Colonial Ltd. ............................ 33,610
7,900 CSR Ltd. ................................. 22,590
16,792 Foster's Brewing Group ................... 47,328
7,708 General Property Trust ................... 12,531
2,477 Gio Australia Holdings ................... 6,034
4,350 Lend Lease Corp. Ltd. .................... 59,727
18,879 M.I.M. Holdings Ltd. ..................... 13,371
12,500 National Australia Bank .................. 206,851
1,545 Newcrest Mining Ltd.(1)................... 3,469
18,131 News Corporation ......................... 154,697
21,596 Normandy Mining Ltd. ..................... 14,381
6,636 North Ltd. ............................... 13,441
3,582 Orica Ltd. ............................... 19,563
10,600 Pacific Dunlop ........................... 15,296
8,900 Pioneer International .................... 22,681
2,861 Rio Tinto Ltd. ........................... 46,912
6,613 Santos Ltd. .............................. 21,668
4,798 Southcorp Holdings Ltd. .................. 19,376
1,700 TABCORP Holdings Ltd. .................... 11,455
45,108 Telstra Corp. Ltd. ....................... 258,480
737 Wesfarmer Ltd. ........................... 6,635
17,862 Westfield Trust - Units .................. 36,155
15,827 Westpac Banking Corp., Ltd. .............. 102,667
8,844 WMC Ltd. ................................. 37,993
9,455 Woolworths Ltd. .......................... 31,449
----------
1,697,802
----------
Austria - 0.3%
230 Austria Tabakwerke AG .................... 13,401
1,120 Bank Austria AG .......................... 58,906
70 Boehler-Uddeholm AG ...................... 3,464
60 Ea-Generali AG ........................... 11,014
100 Flughafen Wien AG ........................ 4,196
310 Oesterreichische Elektrizitaetswirtschafts
AG -- A .................................. 45,141
240 OMV AG ................................... 21,407
160 VA Technologie AG ........................ 14,496
720 Wienerberger Baustoffindustrie AG ........ 18,645
----------
190,670
----------
Belgium - 1.6%
71 Barco NV ................................. 11,430
12 Bekaert NV ............................... 5,136
150 Cimenteries CBR .......................... 13,798
22 Colruyt NV ............................... 14,475
29 D'Ieteren SA ............................. 13,395
307 Delhaize - Le Lion, SA ................... 26,135
517 Electrabel SA ............................ 166,881
210 Fortis AG CVG(1) ......................... 1,195
6,629 Fortis -- B .............................. 208,165
Shares Description Value
------ ----------- -----
247 Fortis B - Strip VVPR .................... $ 3
10 Generale de Banque SA - Strip VVPR........
150 Groupe Bruxelles Lambert SA .............. 25,354
2,809 KBC Bancassurance Holding ................ 166,568
216 PetroFina SA ............................. 124,074
548 Solvay SA - A ............................ 36,367
759 Tractebel ................................ 106,452
1,016 UCB SA ................................... 43,483
141 Union Miniere SA ......................... 5,816
----------
968,727
----------
Denmark - 0.8%
300 Carlsberg - AS -- B ...................... 12,514
200 Carlsberg - AS -- A ...................... 8,065
9 D/S 1912 -- B ............................ 79,841
6 D/S Svendborg -- B ....................... 74,335
464 Danisco AS ............................... 20,968
500 Den Danske Bank .......................... 54,229
500 FLS Industries AS -- B ................... 13,001
193 GN Store Nord AS ......................... 6,521
212 ISS International Service System AS -- B . 11,349
632 Novo Nordisk AS -- B ..................... 68,281
1,931 Tele Danmark AS .......................... 95,049
400 Uni-Danmark AS -- A ...................... 26,697
----------
470,850
----------
Finland - 1.9%
1,100 Kemira Oy ................................ 6,648
900 Kesko .................................... 12,112
7,900 Merita Ltd.-- A .......................... 44,890
200 Metra Oy -- A ............................ 4,475
200 Metra Oy -- B ............................ 4,228
10,000 Nokia Oyj ................................ 876,581
800 Outokumpu Oy -- A ........................ 8,993
2,100 Raisio Group PLC(1)....................... 19,491
700 Sampo Insurance Co. Ltd. -- A ............ 20,285
3,700 Sonera Group Oyj(1)....................... 80,893
300 Stockmann AB -- A ........................ 6,089
50 Stockmann AB -- B ........................ 761
600 Tietonator Oyj Abp ....................... 24,998
2,300 UPM - Kymmene Corp. ...................... 65,940
----------
1,176,384
----------
France - 8.7%
288 Accor SA ................................. 72,321
1,611 Alcatel Alsthom .......................... 226,778
33 AXA CVG(1)................................ 226
2,660 AXA - UAP ................................ 324,519
165 AXA - UAP-- New .......................... 20,130
1,856 Banque Nationale de Paris ................ 154,654
206 Bouygues ................................. 54,449
228 Canal Plus ............................... 63,979
580 Cap Gemini SA ............................ 91,156
1,870 Carrefour Supermarche .................... 274,808
600 Casino Guichard Perracho ................. 52,595
33 Coflexip ................................. 2,833
600 Compagnie de Saint-Gobain ................ 95,599
414 Dassault Systemes SA ..................... 13,684
2,210 ELF Aquitaine SA ......................... 324,318
200 Eridania Beghin-Say SA ................... 28,669
50 Essilor International .................... 15,629
8,056 France Telecom SA ........................ 608,556
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
613 Groupe Danone ............................ $ 158,042
3 Havas SA ................................. 269
100 Imetal SA ................................ 14,850
642 L'Air Liquide ............................ 100,967
542 L'OREAL .................................. 366,391
640 Lafarge SA ............................... 60,853
867 Lagardere SCA ............................ 32,277
200 Legrand SA ............................... 40,715
739 LVMH ..................................... 216,363
852 Michelin -- B ............................ 34,856
920 Paribas .................................. 103,131
150 Pathe SA ................................. 18,006
188 Pechiney SA -- A ......................... 8,081
450 Pernod Ricard ............................ 30,165
863 Pinault-Printemps-Redoute SA ............. 148,094
137 Promodes ................................. 89,927
403 PSA Peugeot Citroen ...................... 63,587
2,250 Rhone-Poulenc -- A ....................... 102,815
5,828 Sanofi-Synthelabo SA (1).................. 247,322
908 Schneider SA ............................. 50,987
147 SEITA .................................... 8,489
250 Sidel SA ................................. 30,397
100 Simco SA ................................. 8,456
300 Societe BIC SA ........................... 15,825
766 Societe Generale Paris ................... 135,003
220 Sodexho .................................. 37,889
1,160 Suez Lyonnaise des Eaux-Dumez ............ 209,229
1,179 Thomson CSF .............................. 40,975
1,741 Total SA -- B ............................ 224,610
1,800 Usinor Sacilor ........................... 26,823
510 Valeo SA ................................. 42,076
4,047 Vivendi .................................. 327,833
----------
5,420,206
----------
Germany - 8.8%
315 Adidas AG ................................ 31,267
1,891 Allianz AG ............................... 524,586
350 AMB Aachener & Muenchener
Beteiligungs AG ........................ 36,095
3,920 BASF AG .................................. 173,225
5,795 Bayer AG ................................. 241,439
2,833 Bayerische Vereinsbank ................... 184,077
400 Beiersdorf AG ............................ 26,607
550 Continental AG ........................... 13,046
7,310 Daimler-Chrysler AG ...................... 633,283
4,555 Deutsche Bank AG ......................... 277,854
2,875 Deutsche Lufthansa AG .................... 52,123
16,765 Deutsche Telekom ......................... 703,673
3,608 Dresdner Bank AG ......................... 141,019
412 Heidelberger Zement AG ................... 33,991
500 Hochtief AG .............................. 22,997
60 Karstadt AG .............................. 28,834
65 Linde AG ................................. 38,946
550 MAN AG ................................... 18,774
2,900 Mannesmann AG ............................ 432,753
990 Merck KGAA ............................... 32,201
1,942 Metro AG ................................. 120,564
568 Muenchener Rueckversicherungs-
Gesellschaft A -- New................... 103,680
Shares Description Value
------ ----------- -----
768 Muenchener Rueckversicherungs-
Gesellschaft AG ........................ $ 142,167
1,311 Preussag AG .............................. 70,439
3,100 RWE AG ................................... 143,511
1,485 RWE AG ................................... 51,609
525 SAP AG ................................... 177,585
260 SAP AG - Vorzug .......................... 103,901
505 Shering AG ............................... 53,537
4,435 Siemens AG ............................... 342,112
3,300 Thyssen Krupp AG (1) ..................... 72,590
3,575 VEBA AG .................................. 210,147
208 Viag AG .................................. 98,243
2,480 Volkswagen AG ............................ 158,824
----------
5,495,699
----------
Hong Kong - 2.5%
11,551 Bank of East Asia Ltd. ................... 29,255
22,000 Cathay Pacific Airways ................... 33,743
20,000 Cheung Kong Holdings Ltd. ................ 177,867
20,500 CLP Holdings Ltd. ........................ 99,612
11,000 Hang Lung Development Co. ................ 13,611
16,600 Hang Seng Bank Ltd. ...................... 185,607
13,000 Hong Kong & Shanghai Hotels Ltd. ......... 11,059
27,788 Hong Kong and China Gas Co. Ltd. ......... 40,293
102,435 Hong Kong Telecommunications Ltd. ........ 266,035
7,600 Hopewell Holdings Ltd. ................... 5,779
33,000 Hutchison Whampoa Ltd. ................... 298,797
11,386 Hysan Development Co. Ltd. ............... 17,170
3,000 Johnson Electric Holdings Ltd. ........... 12,373
12,100 New World Development Co. Ltd. ........... 36,260
12,000 Shangri-La Asia Ltd. ..................... 14,848
22,763 Sino Land Co. ............................ 13,056
20,297 Sun Hung Kai Properties Ltd. ............. 185,086
9,500 Swire Pacific Ltd.-- A ................... 47,019
5,000 Television Broadcasts Ltd. ............... 23,458
14,000 Wharf Holdings Ltd. ...................... 43,668
----------
1,554,596
----------
Ireland - 0.4%
6,787 Allied Irish Banks PLC ................... 89,240
3,240 CRH PLC .................................. 57,471
536 DCC PLC .................................. 4,367
1,341 Greencore Group PLC ...................... 4,149
1,303 Independent Newspapers PLC ............... 6,248
2,396 Irish Permanent PLC ...................... 25,334
7,342 Jefferson Smurfit Group PLC .............. 17,225
1,653 Kerry Group PLC .......................... 19,604
965 Ryanair Holdings PLC (1) ................. 10,002
53 Waterford Wedgwood PLC ................... 55
5,107 Waterford Wedgwood Units ................. 5,267
----------
238,962
----------
Italy - 4.1%
14,455 Alitalia SPA ............................. 37,566
552 Arnoldo Mondadori Editore SPA ............ 9,564
8,468 Assicurazioni Generali ................... 293,422
15,351 Banca Commerciale Italiana ............... 112,084
17,415 Banca Intesa SPA ......................... 83,692
11,141 Bancario San Paolo di Torino ............. 151,662
22,250 Bennetton Group SPA ...................... 43,826
4,810 Edison SPA ............................... 41,668
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
66,976 ENI SPA .................................. $ 399,918
28,445 Fiat SPA ................................. 90,057
10,354 Fiat SPA ................................. 16,604
34,460 Istituto Nazionale delle Assicurazioni ... 79,960
5,851 Italgas SPA .............................. 24,558
11,111 Mediaset SPA ............................. 98,772
4,899 Mediobanca SPA ........................... 51,280
21,052 Montedison SPA ........................... 34,304
16,544 Olivetti Group (1) ....................... 39,753
9,197 Parmalat Finanziaria SPA ................. 12,045
13,436 Pirelli SPA .............................. 36,580
3,362 Riunione Adriatica di Sicurta SPA ........ 32,660
55,990 Telecom Italia Mobile SPA ................ 334,320
4,617 Telecom Italia Mobile SPA-RNC ............ 16,998
8,838 Telecom Italia SPA-RNC ................... 47,942
26,693 Telecom Italia SPA ....................... 277,480
39,747 Unicredito Italiano SPA .................. 174,617
24,686 Unione Immobiliare SPA (1) ............... 10,947
----------
2,552,279
----------
Japan - 21.0%
1,000 Acom Co. Ltd. ............................ 86,338
1,000 Advantest Corporation .................... 109,885
4,000 Ajinomoto Co., Inc. ...................... 45,606
3,000 Amada Co. Ltd. ........................... 21,192
14,000 Asahi Bank Ltd. .......................... 67,087
3,000 Asahi Breweries Ltd. ..................... 37,328
8,000 Asahi Chemical Industry Co. Ltd. ......... 44,350
7,000 Asahi Glass Co. Ltd. ..................... 45,400
37,000 Bank of Tokyo - Mitsubishi Ltd. .......... 526,710
14,000 Bank of Yokohama Ltd. .................... 35,973
7,000 Bridgestone Corp. ........................ 211,672
6,000 Canon, Inc. .............................. 172,510
3,000 Casio Computer Co. Ltd. .................. 22,803
5,000 Chiba Bank Ltd. .......................... 18,466
8,000 Chichibu Onoda Cement .................... 22,935
4,000 Citizen Watch Co. Ltd. ................... 34,700
7,000 Cosmo Oil Co. Ltd. ....................... 12,839
800 Credit Saison Co. Ltd. ................... 16,722
6,000 Dai Nippon Printing Co. Ltd. ............. 95,922
4,000 Daiei, Inc. .............................. 13,682
2,000 Daiichi Pharmaceutical ................... 31,032
5,000 Daikin Industries Ltd. ................... 58,041
9,000 Dainippon Ink & Chemicals, Inc. .......... 30,635
3,000 Daiwa House Industry Co. Ltd. ............ 31,553
8,000 Daiwa Securities Co. Ltd. ................ 52,877
8,000 Denso Corp. .............................. 162,596
34 East Japan Railway Co. ................... 182,590
2,000 Ebara Corp. .............................. 23,778
2,000 Eisai Co. Ltd. ........................... 39,410
1,800 Fanuc .................................... 96,665
28,000 Fuji Bank Ltd. ........................... 195,247
4,000 Fuji Photo Film Co. ...................... 151,360
5,000 Fujikura Ltd. ............................ 23,877
1,000 Fujita Kanko, Inc. ....................... 9,501
13,000 Fujitsu Ltd. ............................. 261,533
9,000 Furukawa Electric Co. Ltd. ............... 41,269
3,000 Gunma Bank ............................... 18,837
5,000 Hankyu Corp. ............................. 19,829
24,000 Hitachi Ltd. ............................. 225,057
Shares Description Value
------ ----------- -----
6,000 Hitachi Zosen Corp. ...................... $ 7,238
8,000 Honda Motor Co. Ltd. ..................... 339,072
1,000 House Foods Industry ..................... 14,739
1,000 Hoya Corp. ............................... 56,429
2,000 INAX ..................................... 12,211
18,000 Industrial Bank of Japan ................. 142,767
4,000 Ito -Yokado Co. Ltd. ..................... 267,689
8,000 Itochu Corp. ............................. 19,895
10,000 Japan Airlines (1) ....................... 33,048
18,000 Japan Energy Corp. ....................... 21,118
4,000 Joyo Bank ................................ 15,566
2,000 JUSCO Co. ................................ 36,353
6,000 Kajima Corp. ............................. 21,812
2,000 Kandenko Co. Ltd. ........................ 12,261
6,900 Kansai Electric Power Co., Inc. .......... 131,118
4,000 Kao Corp. ................................ 112,363
8,000 Kawasaki Heavy Industries Ltd. ........... 21,679
19,000 Kawasaki Steel Corp. ..................... 35,477
2,000 Kinden Corp. ............................. 21,564
10,000 Kinki Nippon Railway ..................... 49,159
8,000 Kirin Brewery Co. Ltd. ................... 95,839
2,000 Kokuyo ................................... 32,222
6,000 Komatsu Ltd. ............................. 38,319
8,000 Kubota Corp. ............................. 23,927
11,000 Kumagai Gumi Co. Ltd. (1) ................ 12,269
4,000 Kuraray Co. Ltd. ......................... 48,118
2,000 Kurita Water Industries .................. 35,857
1,000 Kyocera Corp. ............................ 58,660
3,000 Kyowa Hakko Kogyo ........................ 17,177
11,000 Marubeni Corp. ........................... 22,993
2,000 Marui Co. Ltd. ........................... 33,048
15,000 Matsushita Electric Industrial Co. Ltd. .. 291,235
5,000 Meiji Seika .............................. 27,967
2,000 Minebea Co. Ltd. ......................... 22,307
13,000 Mitsubishi Chemical Corp. ................ 45,003
9,000 Mitsubishi Corp. ......................... 60,974
13,000 Mitsubishi Electric Corp. (1) ............ 49,944
8,000 Mitsubishi Estate Co. Ltd. ............... 78,059
25,000 Mitsubishi Heavy Industries Ltd. ......... 101,416
7,000 Mitsubishi Materials Corp. ............... 15,673
7,000 Mitsubishi Trust & Banking Corp. ......... 68,013
9,000 Mitsui & Co. ............................. 62,758
5,000 Mitsui Fudosan Co. Ltd. .................. 40,484
7,000 Mitsui Marine & Fire Insurance Co. Ltd. .. 34,411
6,000 Mitsui O.S.K. Lines Ltd. ................. 12,889
7,000 Mitsui Trust & Banking Co. Ltd. .......... 11,162
8,000 Mitsukoshi Ltd. .......................... 34,766
2,000 Murata Manufacturing Co. Ltd. ............ 131,531
2,000 Mycal Corp. .............................. 12,558
11,000 NEC Corp. ................................ 136,777
6,000 New Oji Paper Co. Ltd. ................... 34,700
8,000 Nichirei Corp. ........................... 21,151
5,000 Nikon Corp. .............................. 81,794
6,000 Nippon Express Co. Ltd. .................. 35,940
2,000 Nippon Meat Packers, Inc. ................ 26,108
7,000 Nippon Oil Co. Ltd. ...................... 29,495
6,000 Nippon Paper Industries Co. .............. 31,280
41,000 Nippon Steel Corp. ....................... 95,186
940 Nippon Telegraph & Telephone Corp. ....... 1,102,811
12,000 Nippon Yusen Kabushiki Kaisha ............ 46,201
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
4,000 Nishimatsu Construction .................. $ 22,935
15,000 Nissan Motor Co. Ltd. .................... 71,631
2,000 Nisshinbo Industries, Inc. ............... 9,105
2,000 Nissin Food Products Co. Ltd. ............ 48,746
21,000 NKK Corp. ................................ 17,177
14,000 Nomura Securities Co. Ltd. ............... 163,901
6,000 NSK Ltd. ................................. 32,916
4,000 NTN Corp. ................................ 13,649
10,000 Obayashi Corp. ........................... 50,316
7,000 Odakyu Electric Railway .................. 23,423
2,000 Olympus Optical Co. Ltd. ................. 29,561
1,000 Omron Corp. .............................. 17,350
2,000 Onward Kashiyama Co. Ltd. ................ 21,977
1,000 Orix Corporation ......................... 89,230
15,000 Osaka Gas Co. Ltd. ....................... 50,935
1,000 Pioneer Electronic Corp. ................. 19,457
1,000 Rohm Company Ltd. ........................ 156,565
20,000 Sakura Bank Ltd. ......................... 75,845
4,000 Sankyo Co. Ltd. .......................... 100,796
11,000 Sanyo Electric Co. Ltd. .................. 44,714
4,000 Sapporo Breweries Ltd. ................... 17,747
1,000 Secom Co., Ltd. .......................... 104,101
1,800 Sega Enterprises ......................... 23,809
3,000 Sekisui Chemical Co. Ltd. ................ 17,400
4,000 Sekisui House Ltd. ....................... 43,161
7,000 Sharp Corp. .............................. 82,703
5,000 Shimizu Corp. ............................ 19,498
3,000 Shin-Etsu Chemical Co. Ltd. .............. 100,383
4,000 Shiseido Co. Ltd. ........................ 59,949
5,000 Shizuoka Bank ............................ 49,820
12,000 Showa Denko K.K .......................... 15,367
1,000 SMC Corporation .......................... 111,950
3,000 Snow Brand Milk Products ................. 14,649
3,300 Sony Corp. ............................... 355,803
25,000 Sumitomo Bank Ltd. ....................... 310,031
10,000 Sumitomo Chemical Co. .................... 45,854
6,000 Sumitomo Corp. ........................... 43,871
4,000 Sumitomo Electric Industries ............. 45,474
2,000 Sumitomo Forestry Co. .................... 15,566
10,000 Sumitomo Marine & Fire ................... 60,313
19,000 Sumitomo Metal Industries Ltd. ........... 23,704
7,000 Sumitomo Metal Mining Co. ................ 28,917
6,000 Taisei Corp. ............................. 13,186
2,000 Taisho Pharmaceutical Co. ................ 66,096
2,000 Takashimaya Co. Ltd. ..................... 19,118
7,000 Takeda Chemical Industries ............... 324,448
16,000 Teijin Ltd. .............................. 64,774
7,000 Tobu Railway Co. Ltd. .................... 19,837
300 Toho Co. ................................. 43,871
3,000 Tohoku Electric Power .................... 45,408
12,000 Tokai Bank ............................... 68,409
11,000 Tokyo Marine & Fire Insurance Co. ........ 119,510
1,000 Tokyo Broadcasting System ................ 14,458
2,000 Tokyo Dome Corp. ......................... 11,600
8,800 Tokyo Electric Power Co. ................. 185,763
1,000 Tokyo Electron Ltd. ...................... 67,831
14,000 Tokyo Gas Co. Ltd. ....................... 34,469
6,000 Tokyu Corp. .............................. 15,119
4,000 Toppan Printing Co. Ltd. ................. 44,648
Shares Description Value
------ ----------- -----
8,000 Toray Industries, Inc. ................... $ 40,054
1,000 Tostem Corp. ............................. 19,209
5,000 Toto Ltd. ................................ 38,625
1,000 Toyo Seikan Kaisha ....................... 22,473
8,000 Toyobo Ltd. .............................. 12,096
2,000 Toyoda Automatic Loom Works .............. 33,957
29,000 Toyota Motor Corp. ....................... 917,660
11,000 Ube Industries Ltd. ...................... 23,720
1,000 Uni-Charm Corporation .................... 43,375
2,000 Uny Co. Ltd. ............................. 30,074
3,000 Wacoal Corp. ............................. 30,536
2,000 Yamaha Corp. ............................. 24,042
14,000 Yamaichi Securities Co. Ltd. (1) ......... 0
3,000 Yamanouchi Pharmaceutical Co. Ltd. ....... 114,759
5,000 Yamato Transport Co. Ltd. ................ 87,164
2,000 Yamazaki Baking Co. Ltd. ................. 24,819
----------
13,101,794
----------
Netherlands - 5.7%
4,903 AEGON NV ................................. 355,713
1,867 Akzo Nobel ............................... 78,556
12,132 Algemene Bank Nederland NV ............... 262,739
5,722 Elsevier NV .............................. 66,386
756 Getronics NV ............................. 29,081
802 Hagemeyer NV ............................. 26,218
2,705 Heineken NV .............................. 138,503
7,967 ING Groep NV ............................. 431,348
796 KLM Royal Dutch Airlines NV .............. 22,533
5,183 Koninklijke Ahold NV ..................... 178,526
3,555 Koninklijke KPN NV ....................... 166,811
310 Oce NV ................................... 7,896
2,756 Philips Electronics NV ................... 271,887
17,715 Royal Dutch Petroleum Co. ................ 1,037,678
3,817 TNT Post Group NV ........................ 91,127
4,772 Unilever NV .............................. 321,602
2,236 Wolters Kluwer NV - CVA .................. 89,009
----------
3,575,613
----------
New Zealand - 0.2%
20,319 Brierley Investments Ltd. ................ 5,707
15,286 Carter Holt Harvey Ltd. .................. 18,307
2,169 Fletcher Challenge Building .............. 3,161
2,091 Fletcher Challenge Energy ................ 5,673
317 Fletcher Challenge Forests ............... 178
3,832 Fletcher Challenge Paper ................. 2,863
5,349 Lion Nathan Ltd. ......................... 12,812
14,125 Telecom Corp. of New Zealand ............. 60,629
----------
109,330
----------
Norway - 0.4%
300 Aker RGI ASA -- A ........................ 4,078
180 Aker RGI ASA -- B ........................ 2,241
500 Bergensen d.y. ASA -- A .................. 7,367
5,250 Christiania Bank Og Kreditkasse .......... 18,873
4,300 Den Norske Bank ASA ...................... 14,202
600 Hafslund ASA -- A ........................ 4,001
280 Kvaerner ASA ............................. 5,762
800 Merkantildata AS ......................... 7,723
1,600 NCL Holdings ASA (1) ..................... 5,345
1,850 Norsk Hydro ASA .......................... 69,796
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
400 Norske Skogindustrier ASA -- A ........... $ 14,735
1,500 Orkla ASA -- A ........................... 23,342
700 Petroleum Geo-Services ASA (1) ........... 10,537
850 Schibsted ASA ............................ 9,556
450 Tomra Systems ASA ........................ 16,920
2,700 Uni-Storebrand ASA -- A .................. 18,178
----------
232,656
----------
Portugal - 0.5%
1,697 Banco Comercial Portugues, SA ............ 43,979
1,181 Banco Espirito Santo e Comercial de
Lisboa, SA ............................. 27,477
579 BPI - SGPS, SA ........................... 12,158
400 Brisa Auto Estradas de Portugal SA ....... 16,500
600 Cimentos de Portugal ..................... 15,469
5,577 Electricidade de Portugal, SA ............ 100,420
700 Jeronimo Martins, SGPS, SA ............... 23,122
1,600 Portugal Telecom SA ...................... 65,094
300 Sonae Investimentos - Sociedade Gestor a
de Participacoes Sociais, SA ........... 10,203
----------
314,422
----------
Singapore - 0.9%
6,000 City Developments Ltd. ................... 38,415
1,000 Creative Technology Ltd. ................. 13,040
2,000 Cycle & Carriage Ltd. .................... 11,513
7,000 DBS Land Ltd. ............................ 13,980
3,900 Development Bank of Singapore Ltd. ....... 47,648
3,000 Fraser & Neave Ltd. ...................... 13,304
6,750 Keppel Corp. Ltd. ........................ 22,996
4,798 Overseas-Chinese Banking Corp. Ltd. ...... 40,019
4,000 Parkway Holdings Ltd. .................... 9,868
10,332 Sembcorp Industries Ltd. (1) ............. 16,386
9,000 Singapore Airlines Ltd. .................. 85,640
2,296 Singapore Press Holdings Ltd. -- 100 (1).. 39,515
1,000 Singapore Press Holdings Ltd. ............ 17,034
13,000 Singapore Technologies Industrial Corp.... 14,737
54,000 Singapore Telecommunications Ltd. ........ 92,618
12,000 United Industrial Corp. Ltd. ............. 8,106
8,000 United Overseas Bank Ltd. ................ 55,919
----------
540,738
----------
Spain - 2.9%
490 Acerinox SA .............................. 14,326
4,150 Argentaria SA ............................ 94,540
2,826 Autopistas Concesionaria Espanola SA ..... 33,088
15,769 Banco Bilbao Vizcaya SA .................. 227,832
30,959 Banco Santander Central Hispano, SA ...... 322,466
131 Corporacion Financiera Alba, SA .......... 21,210
860 Corporacion Mapfre ....................... 17,516
6,442 Endesa SA ................................ 137,387
660 Fomento de Construcciones y
Contratas SA ........................... 37,775
1,072 Gas Natural SDG, NA ...................... 77,939
475 General de Aguas D'barce ................. 24,738
4 General de Aguas D'barce -- New (1) . .... 206
8,876 Iberdrola SA ............................. 135,198
8,598 Repsol SA ................................ 175,564
1,485 Tabacalera SA -- A ....................... 30,016
9,349 Telefonica de Espana ..................... 450,353
Shares Description Value
------ ----------- -----
2,023 Union Electrica Fenosa SA ................ $ 26,454
643 Vallehermoso SA .......................... 6,227
----------
1,832,835
----------
Sweden - 2.9%
5,600 ABB AB -- A .............................. 74,432
1,400 ABB AB -- B .............................. 18,526
800 AGA AB -- A .............................. 9,974
400 AGA AB -- B .............................. 4,940
6,372 AstraZeneca Group PLC .................... 248,115
1,200 Atlas Copco A -- A ....................... 32,676
300 Atlas Copco AB -- B ...................... 8,045
1 Boliden Ltd. (1) ......................... 1
700 Drott AB -- B 8 .......................... 5,681
3,300 Electrolux A -- B ........................ 69,092
16,300 Ericsson Lm -- B ......................... 522,452
6,525 ForeningsSparbanken AB ................... 92,099
7,100 Hennes & Mauritz AB -- B ................. 175,376
110 Mandamus Fastigheter AB (1) .............. 582
800 Netcom Systems AB -- B 8 ................. 26,912
300 Om Gruppen AB ............................ 3,388
1,300 Sandvik AB -- A .......................... 28,365
300 Sandvik AB -- B .......................... 6,634
2,900 Securitas AB -- B ........................ 43,321
4,300 Skandia Forsakrings AB ................... 80,419
5,100 Skandinaviska Enskilda Banken -- A ....... 59,388
1,000 Skanska AB -- B .......................... 37,698
400 SKF AB -- B .............................. 7,387
1,800 Svenska Cellulosa AB -- B ................ 46,579
5,400 Svenska Handelsbanken AB -- A ............ 64,787
600 Svenskt Stal AB -- A ..................... 7,516
1,900 Swedish Match AB ......................... 6,772
400 Trelleborg AB -- B ....................... 3,529
1,100 Volvo AB -- A ............................ 31,699
2,600 Volvo AB -- B ............................ 75,385
300 Wm-Data AB -- B .......................... 11,433
----------
1,803,203
----------
Switzerland - 6.7%
75 ABB AG - Bearer .......................... 110,962
140 Adecco SA ................................ 75,017
45 Alusuisse-Lonza Holding AG ............... 52,451
2,190 Credit Suisse Group ...................... 378,949
40 Holderbank Financiere Glarus AG -- B ..... 47,215
325 Nestle SA ................................ 585,572
558 Novartis AG - Bearer ..................... 814,787
13 Roche Holding AG - Bearer ................ 214,076
58 Roche Holding AG - Genusscheine .......... 596,196
100 Sairgroup ................................ 20,938
10 Schindler Holding AG ..................... 15,438
120 Schweizerische Ruckversicherungs-
Gesellschaft ........................... 228,485
15 SGS Societe Generale de Surveillance
Holding SA ............................. 15,535
100 Societe Suisse pour la Microelectronique
et l'Hogeric AG ........................ 14,280
25 Societe Suisse pour la Microelectronique
et l'Hogeric AG - Bearer ............... 16,821
15 Sulzer AG ................................ 9,118
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2 Sulzer Medica AG ......................... $ 377
620 Swisscom AG .............................. 233,309
1,713 UBS AG ................................... 511,314
375 Zurich Allied AG ......................... 213,239
----------
4,154,079
----------
United Kingdom - 17.9%
10,533 Abbey National PLC ....................... 197,080
11,004 Allied Zurich PLC (1) .................... 137,464
2,788 Anglian Water PLC ........................ 30,832
3,286 Arjo Wiggins Appleton PLC ................ 11,421
5,309 Associated British Foods PLC ............. 34,673
10,940 Barclays PLC ............................. 318,855
5,067 Bass PLC -- New .......................... 73,681
4,439 BBA Group PLC ............................ 34,006
29,737 BG PLC ................................... 181,990
2,793 BICC Group PLC ........................... 3,984
4,385 Blue Circle Industries PLC ............... 29,186
3,354 BOC Group PLC ............................ 65,822
6,923 Boots Co. PLC ............................ 82,609
3,420 BP Amoco PLC ............................. 371,107
5,493 BPB PLC .................................. 32,513
9,592 British Aerospace PLC .................... 62,710
7,815 British Airport Authority ................ 74,960
6,125 British Airways PLC ...................... 42,119
11,925 British American Tobacco ................. 111,280
2,953 British Land Co. PLC ..................... 24,414
48,193 British Petroleum Co. PLC ................ 862,981
10,841 British Sky Broadcasting Group PLC ....... 100,225
14,109 British Steel PLC ........................ 36,307
45,699 British Telecommunications PLC ........... 763,575
1,732 Burmah Castrol PLC ....................... 32,990
17,769 Cable & Wireless PLC ..................... 226,175
14,218 Cadbury Schweppes PLC .................... 90,768
2,073 Caradon PLC .............................. 4,885
3,997 Carlton Communications PLC ............... 33,109
28,449 Centrica PLC (1) ......................... 67,042
10,001 CGU PLC .................................. 143,694
5,105 Compass Group PLC ........................ 50,575
25,105 Diageo PLC -- New ........................ 261,578
2,789 Electrocomponents PLC .................... 20,641
4,339 EMI Group PLC ............................ 34,848
3,338 FKI PLC .................................. 10,313
20,260 General Electric Co. PLC ................. 205,028
4,588 GKN PLC .................................. 78,540
25,521 Glaxo Wellcome PLC ....................... 708,831
6,094 Granada Group PLC ........................ 113,735
7,022 Great Universal Stores PLC ............... 78,533
5,083 Guardian Royal Exchange PLC .............. 28,844
14,706 Halifax PLC (1) .......................... 174,911
6,318 Hanson PLC ............................... 55,372
13,335 HSBC Holdings PLC ........................ 472,529
6,284 HSBC Holdings PLC (75p) .................. 222,873
4,537 Imperial Chemical Industries PLC ......... 44,841
Shares Description Value
------ ----------- -----
10,395 Kingfisher PLC ........................... $ 119,697
6,574 Ladbroke Group PLC ....................... 26,088
4,062 Land Securities PLC ...................... 54,489
29,604 Legal & General Group PLC ................ 75,247
37,278 Lloyds TSB Group PLC ..................... 503,878
21,067 Marks & Spencer PLC ...................... 122,537
4,322 MEPC PLC ................................. 35,257
8,596 National Grid Group PLC .................. 59,518
8,749 National Power PLC ....................... 63,990
4,117 Pearson PLC .............................. 83,262
4,423 Peninsular & Orient Steam
Navigation Co. ......................... 66,443
5,905 Pilkington PLC ........................... 8,098
785 Provident Financial PLC .................. 10,864
14,533 Prudential Corp. PLC ..................... 215,110
3,019 Railtrack Group PLC ...................... 61,580
5,073 Rank Group PLC ........................... 20,071
6,776 Reed International PLC ................... 45,554
17,492 Rentokil Initial PLC ..................... 68,380
10,083 Reuters Group PLC ........................ 132,793
3,294 Rexam PLC ................................ 13,295
6,673 Rio Tinto PLC ............................ 111,077
1,863 RMC Group PLC ............................ 29,924
8,967 Rolls-Royce PLC .......................... 38,058
8,043 Royal & Sun Alliance Insurance
Group PLC .............................. 72,335
5,642 Royal Bank of Scotland Group PLC ......... 114,815
6,281 Safeway PLC .............................. 25,197
12,423 Sainsbury (J.) PLC ....................... 78,134
2,248 Schroders PLC ............................ 45,296
3,645 Scottish & Newcastle PLC ................. 38,065
3,218 Scottish & Southern Energy PLC ........... 32,921
6,848 Scottish Power PLC ....................... 59,262
25,568 Siebe PLC ................................ 121,113
40,051 Smithkline Beecham PLC ................... 519,895
2,841 Smiths Industries PLC .................... 37,774
4,478 Stagecoach Holdings PLC .................. 16,006
3,272 Tate & Lyle PLC .......................... 20,553
7,678 Taylor Woodrow PLC ....................... 22,148
43,615 Tesco PLC ................................ 113,094
1,993 Thames Water PLC ......................... 31,736
4,356 TI Group PLC ............................. 29,354
21,291 Unilever PLC ............................. 192,809
3,122 United Utilities PLC ..................... 38,090
21,101 Vodafone Group ........................... 417,099
7,189 Williams Holding PLC ..................... 47,487
3,569 Wolseley PLC ............................. 26,835
5,813 Zeneca Group PLC ......................... 225,227
----------
11,134,904
United States - 0.7%
4,000 AirTouch Communications, Inc. (1) ........ 428,500
----------
Total Common Stock
(Cost $46,581,623) .................... 56,994,249
----------
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares/
Par (000) Description Value
--------- ----------- -----
PREFERRED STOCK - 0.2%
Australia - 0.2%
15,058 News Corp. Ltd.- Preferred ............... $ 114,723
-----------
Germany - 0.0%
400 Volkswagen AG - Preferred ................ 14,788
-----------
Total Preferred Stock
(Cost $93,599) ......................... 129,511
-----------
Short Term Instruments - 8.2%
United States - 8.2%
Mutual Fund 7.2%
4,512,393 BT Institutional Cash
Management Fund ........................ 4,512,393
-----------
U.S. Government and Agency - 1.0%
$ 50,000 U.S. Treasury Bill, 4.250%, 08/19/99(2)... 49,711
550,000 U.S. Treasury Bill, 4.460%, 08/19/99(2)... 546,698
-----------
596,409
-----------
Total Short Term Instruments
(Cost $5,108,750) ...................... 5,108,802
-----------
OTHER SECURITIES - 0.0%
Belgium - 0.0%
100 Generale de Banque SA Warrants (1) ....... 1
-----------
France - 0.0%
18 Bouygues Rights (1) ...................... 585
-----------
Germany - 0.0%
1,440 Deutsche Telekom Rights (1) .............. 0
-----------
Hong Kong - 0.0%
1,100 Hysan Development Co. Warrants (1) ....... 1
700 Wharf Holdings Ltd. Warrants (1) ......... 650
-----------
651
-----------
Italy - 0.0%
6,600 Olivetti Group Warrants (1) .............. 906
-----------
Portugal - 0.0%
166 Jeronimo Martins SGPS, SA Rights (1) ..... 1,685
160 Portugal Telecom SA Warrants (1) ......... 0
-----------
1,685
-----------
Switzerland - 0.0%
1 Holderbank Financiere Glarus AG
Warrants (1) ........................... 23
-----------
Total Other Securities (Cost $0) ..................... 3,851
-----------
Total Investments (Cost $51,783,972) ............100.0% $62,236,413
Liabilities in Excess of Other Assets ........... (0.0%) (24,965)
----- -----------
Net Assets ......................................100.0% $62,211,448
===== ===========
- ------------
(1) Non-income producing security.
(2) Held as collateral for Futures Contracts.
Industry Diversification (as a percentage of Net Assets):
(Unaudited)
% of Net Assets
---------------
Banks ................................................ 13.22%
Capital Equipment .................................... 2.15%
Chemicals ............................................ 1.80%
Consumer Goods & Services ............................ 4.18%
Construction ......................................... 1.28%
Electronics .......................................... 5.07%
Financial Services ................................... 2.71%
Food & Beverage ...................................... 4.76%
Insurance ............................................ 5.11%
Machinery ............................................ 1.45%
Oil & Gas ............................................ 6.67%
Other (3)............................................. 18.35%
Pharmaceuticals ...................................... 6.00%
Printing & Publishing ................................ 1.01%
Real Estate .......................................... 1.47%
Retail ............................................... 1.67%
Telecommunications ................................... 12.11%
Transportation ....................................... 5.57%
Utilities ............................................ 5.42%
------
Total Investments .................................... 100.00%
Liabilities in Excess of Other Assets ................ --
------
100.00%
======
- -----------
(3) No one industry represents more than 1% of Portfolio holdings.
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Operations For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Investment Income
Dividends (net of foreign withholding tax of $77,842) .. $ 643,153
Interest ............................................... 177,406
-----------
Total Investment Income ................................... 820,559
-----------
Expenses
Advisory Fees .......................................... 69,445
Administration and Services Fees ....................... 27,778
Professional Fees ...................................... 26,357
Trustees Fees .......................................... 1,613
Miscellaneous .......................................... 1,722
-----------
Total Expenses ......................................... 126,915
Less: Fees Waived by Bankers Trust ..................... (16,526)
-----------
Net Expenses ........................................ 110,389
-----------
Net Investment Income ..................................... 710,170
-----------
Realized and Unrealized Gain (Loss) on Investments,
Futures, Foreign Currencies and Forward
Foreign Currency Contracts
Net Realized Gain (Loss) from:
Investment Transactions .......................... 530,885
Foreign Futures Transactions ..................... 873,046
Foreign Currency Transactions .................... (175,248)
Forward Foreign Currency Transactions ............ (224,305)
Net Change in Unrealized Appreciation/Depreciation on
Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts ............... 1,193,241
-----------
Net Realized and Unrealized Gain on Investments,
Futures, Foreign Currencies and Forward
Foreign Currency Contracts ............................. 2,197,619
-----------
Net Increase in Assets from Operations .................... $ 2,907,789
===========
See Notes to Financial Statements.
18
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
---------------- -----------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ..................................................... $ 710,170 $ 629,285
Net Realized Gain from Investment Transactions, Futures, Foreign Currency
and Forward Foreign Currency Transactions ............................... 1,004,378 39,644
Net Change in Unrealized Appreciation/Depreciation on Investments, Futures,
Foreign Currencies and Forward Foreign Currency Contracts ............... 1,193,241 6,726,638
------------ ------------
Net Increase in Net Assets from Operations ................................... 2,907,789 7,395,567
------------ ------------
Capital Transactions
Proceeds from Capital Invested ............................................ 18,256,838 7,492,584
Value of Capital Withdrawn ................................................ (1,158,359) (9,414,873)
------------ ------------
Net Increase (Decrease) in Net Assets from Capital Transactions .............. 17,098,479 (1,922,289)
------------ ------------
Total Increase in Net Assets ................................................. 20,006,268 5,473,278
Net Assets
Beginning of Period .......................................................... 42,205,180 36,731,902
------------ ------------
End of Period ................................................................ $ 62,211,448 $ 42,205,180
============ ============
</TABLE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net
assets for periods indicated for the EAFE Equity Index Portfolio.
<TABLE>
<CAPTION>
For the For the year For the period
six month ended December 31, Jan. 24, 1996(3)
ended -------------------------- to
June 30, 1999(4) 1998(2) 1997 Dec. 31, 1996
---------------- ------------ ------------ ----------------
<S> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) ...... $62,211 $42,205 $36,732 $40,392
Ratios to Average Net Assets:
Net Investment Income .................... 2.55%(3) 1.60% 1.74% 1.69%(3)
Expenses ................................. 0.35%(3) 0.35% 0.35% 0.35%(3)
Decrease Reflected in the Above Expense
Ratios Due to Expenses Reimbursed and/or
Fees Waived by Bankers Trust ........... 0.06%(3) 0.06% 0.06% 0.11%(3)
Portfolio Turnover Rate ..................... 1% 12% 44% 4%
</TABLE>
- ---------------
(1) Unaudited.
(2) Commencement of operations.
(3) Annualized.
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The EAFE Equity Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on January 24, 1996,
as an unincorporated trust under the laws of New York, and began operations on
January 24, 1996. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue shares of beneficial interest in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on National
Exchanges or foreign exchanges are valued based on the closing price of the
security on that exchange prior to the time when the Portfolio's assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. All other securities and other assets are valued at
their fair value as determined in good faith under procedures established by and
under the general supervision of the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
to U.S. dollars at prevailing exchange rates. Purchases and sales of investment
securities, dividend and interest income, and certain expenses are translated at
the rates of exchange prevailing on the respective dates of such transactions.
E. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Net Assets may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.
F. Option Contracts
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by a Portfolio, the premium paid is recorded as an investment,
the value of which is marked-to-market daily to reflect the current market
value. When a purchased option expires, the Portfolio will realize a loss in the
amount of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether the
proceeds from the closing sale transaction are greater or less than the cost of
the option. When the Portfolio exercises a put option, it realizes a gain or
loss from the sale of the underlying security and the proceeds from such sale
will be decreased by the premium originally paid. When the Portfolio exercises a
call option, the cost of the security which the Portfolio purchases upon
exercise will be increased by the premium originally paid.
G. Futures Contracts
The Portfolio may enter into financial futures contracts, which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Variation margin payments are made
or received by the Portfolio each day, depending on the daily fluctuations in
the value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in the financial futures contracts is designed to closely replicate
the benchmark index used by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
H. Organization Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized evenly over a five-year period.
I. Federal Income Taxes
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore no federal income tax is required.
J. Other
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts in the financial statements. Actual
results could differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody and shareholder
services to the Portfolio in return for a fee computed daily and paid monthly at
an annual rate of .10% of the average daily net assets. At June 30, 1999,
administrative and service fees payable to Bankers Trust amounted to $4,257.
20
<PAGE>
- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of .25% of the average daily
net assets. At June 30, 1999, advisory fees payable to Bankers Trust amounted to
$10,642.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
.35% of the average daily net assets of the Portfolio.
The Portfolio may invest in the BT Institutional Cash Management Fund (the
"Fund"), an open-end management investment company managed by Bankers Trust
Company (the "Company"). The Fund is offered as a cash management option to the
Portfolio and other accounts managed by the Company. Distributions from the Fund
to the Portfolio as of June 30, 1999 amounted to $46,772 and are included in
interest income.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility in the amount of $100,000,000, which expires April 29, 2000. A
commitment fee of .10% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facility will bear interest at a
rate per annum equal to the Federal Funds Rate plus .50%. No amounts were drawn
down or outstanding under the credit facility as of and for the six months ended
June 30, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
Note 3--Purchases and Sales of Investment Securities
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1999 were
$15,230,422 and $285,171, respectively. For federal income tax purposes, the tax
basis of investments held at June 30, 1999 was $52,405,337. The aggregate gross
unrealized appreciation was $14,247,560, and the aggregate gross unrealized
depreciation for all investments was $3,795,118 as of June 30, 1999.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at June 30, 1999 is
as follows:
Unrealized
Appreciation
(Depreciation
Type of Future Expiration Contracts Position (US$)
- -------------- ---------- --------- -------------- -------------
CAC 40 Index Futures Sept. 1999 10 Long $ 1,552
Hang Seng Index
Futures July 1999 2 Long (6,600)
Nikkei 300 Index
Futures Sept. 1999 36 Long 37,180
Topix Index Futures Sept. 1999 10 Long 56,075
IBEX plus Index
Futures Sept. 1999 1 Long (439)
FTSE 100 Index
Futures Sept. 1999 21 Long (74,553)
DAX Index Futures Sept. 1999 3 Long 623
--- -------
83 $13,838
=== =======
At June 30, 1999, the Portfolio segregated approximately $600,000 of investment
securities to cover margin requirements on open futures contracts.
- --------------------------------------------------------------------------------
Note 5--Open Forward Foreign Currency Contracts
At June 30, 1999, the EAFE Equity Index Portfolio had the following open
forward foreign currency contracts outstanding:
<TABLE>
<CAPTION>
Net Unrealized
Settlement Contract Appreciation
Contracts to Deliver In Exchange For Date Value (US$) (Depreciation) (US$)
- -------------------------------------------------------------------------------------------------------------------
Purchases
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Euro 2,465,000 U.S. Dollars $2,577,305 7/30/99 $2,556,698 $ (20,607)
Euro 473,526 U.S. Dollars 490,000 7/30/99 491,141 1,141
British Pound 1,800,000 U.S. Dollars 2,867,796 7/30/99 2,840,580 (27,216)
British Pound 141,770 U.S. Dollars 225,000 7/30/99 223,727 (1,273)
Japanese Yen 273,800,000 U.S. Dollars 2,286,869 7/30/99 2,269,186 (17,683)
Japanese Yen 27,384,750 U.S. Dollars 225,000 7/30/99 226,958 1,958
- -------------------------------------------------------------------------------------------------------------------
Total Purchases (63,680)
- -------------------------------------------------------------------------------------------------------------------
Sales
- -------------------------------------------------------------------------------------------------------------------
Euro 2,140,000 U.S. Dollars $2,239,724 7/30/99 $2,219,608 $ 20,116
Euro 50,000 U.S. Dollars 51,888 7/30/99 51,860 28
British Pound 760,000 U.S. Dollars 1,207,990 7/30/99 1,199,356 8,634
Japanese Yen 172,000,000 U.S. Dollars 1,425,493 7/30/99 1,425,493 (201)
- -------------------------------------------------------------------------------------------------------------------
Total Sales 28,577
- -------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation (35,103)
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
21
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- --------------------------------------------------------------------------------
EAFE Equity Index Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note6--Net Assets
At June 30, 1999, net assets consisted of:
Paid-in Capital ........................ $50,056,360
Undistributed Net Investment Income .... 710,170
Accumulated Net Realized Gain from
Investments, Futures, Foreign Currency
and Forward Foreign Currency
Transactions ......................... 1,004,378
Net Unrealized Appreciation
on Investments, Futures, Foreign
Currencies and Forward Foreign
Currency Contracts ................... 10,440,540
-----------
$62,211,448
===========
Note 7--Foreign Securities
The Portfolio invests in foreign securities. Investing in foreign companies and
foreign governments involves special risks and considerations not typically
associated with investing in securities of U.S. companies and the U.S.
government. These risks include devaluation of currencies and future adverse
political and economic developments. Moreover, securities of many foreign
companies and foreign governments and their markets may be less liquid and their
prices more volatile than those of securities of comparable U.S. companies and
the U.S. government. This is particularly true with respect to emerging markets
in developing countries.
22
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<PAGE>
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
ICC DISTRIBUTORS, INC.
Two Portland Square
Portland, ME 04101
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Accountants
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
[GRAPHIC OMITTED]
For information on how to invest, shareholder account information and
current price and yield information, please contact your relationship manager or
write to us at:
BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-368-4031
This report must be preceded or accompanied by a current prospectus for the
Fund.
Institutional EAFE Equity Index Fund CUSIP #05576L874
BT Institutional Funds 514SA (6/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
